a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector … Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market … Bundesbank's detailed CSPP purchase records with a range of liquidity indicators for both purchased and nonpurchased bonds. We …

corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …, surprisingly, frequently traded German bonds have transaction costs that are 39-61 bp lower than a matched sample of bonds in the U …

and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the … their default risks through purchases of bonds. But, for high debt levels, this influence is lost since bank and government … default are perfectly correlated. Banks fail to account for how their bond purchases influence the government's default …

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory …: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various … creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large …